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Results for “FX and options”

30 findings

72match

Finding 69541 source

A novel approach identifies American options with European options on an enlarged space, restoring duality even when European options are traded dynamicallyovercoming limitations of previous methods and expanding practical applicability.

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Matched: options

71match

Finding 32171 source

The study concludes that Lasso regression-based static hedging is superior to dynamic hedging, particularly in volatile markets. Potential applications include improved risk management strategies for financial institutions. Future research could explore higher-order risk factors and interaction terms in static hedging.

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Matched: options

70match

Finding 69531 source

Researchers achieve a breakthrough in robust pricing and hedging of American options in continuous time, proving a duality even under model uncertainty and general volatility constraintsa challenge that has long stumped experts.

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Matched: options

69match

Finding 84261 source

Employing a novel perturbation method, the study simplifies the analytic pricing formula for rapid valuation, finds promising applications to interest rate options, and notes enduring challenges for equity index options.

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Matched: options

69match

Finding 69561 source

This paper uniquely resolves a major open problem in robust pricing and hedging of American options in continuous time, extending duality results from discrete to continuous settings. By introducing novel probabilistic techniques and leveraging optimal transport duality, it offers original theoretical advancements with significant implications for both quantitative finance research and practical applications.

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Matched: options

68match

Finding 69551 source

The paper introduces advanced tools like randomised stopping times, Azma supermartingales, and pathwise stochastic integration, showing the superhedging price equals the supremum of expected payoffs over all risk-neutral measures and stopping times.

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Matched: options

67match

Finding 56421 source

Market makers in S&P 500 index options earned nearly $8 billion annually from 2011 to 2022vastly exceeding prior estimatesthanks to trading puts, wide bid-ask spreads, and rarely losing except during crises.

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Matched: options

66match

Finding 51231 source

These predictive effects are unique to options, not underlying stocks, and are linked to inventory imbalances and dealer rebalancing. The study uses innovative measures like 'rebalancing premium' and advanced statistical techniques on S&P 500 options data.

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Matched: options

66match

Finding 38081 source

On SPY, options improved Sortino and reduced tail risk despite higher volatility. Priced via Black--Scholes (VIX, IRX), rebalanced 21 days on 200 returns; omissions: costs, exposure caps; overfitting risk remains.

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Matched: options

66match

Finding 38061 source

Treating index option strategies as long-lived assets boosts enhanced indexation: equities+options beat equities-only (final value 3.61 vs 2.89; CAGR 18.5% vs 15.1%; Sharpe 0.74 vs 0.63; drawdown 21.4% vs 30%).

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Matched: options

66match

Finding 38071 source

Option strategies become portfolio blocks in linear programming with stochastic dominance, bridging options and indexation, generalizable; S&P 500 dataset (2017--2025), 12 strategies including momentum puts, reversal calls, and low-vol straddles.

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Matched: options

66match

Finding 65481 source

Surprisingly, the study finds that American options optionality does not add extra value, as replicable options may not enrich investor opportunities, challenging conventional assumptions and highlighting market efficiency indeed robustly.

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Matched: options

66match

Finding 22461 source

This paper introduces amortizing perpetual options (AmPOs), a novel, fungible variant of continuous-installment options enabled by deterministic notional decay. Analytical valuation under the Black-Scholes framework and derived Greeks highlight its originality. The innovation addresses exchange-tradability, making it compelling for both traditional and decentralized finance, extending existing option theory.

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Matched: options

65match

Finding 33551 source

Links market-implied volatility surfaces to exotic option pricing using a VAE for compression and an MLP surrogate, trained on SPX EOD data with arbitrage-free filtering. Targets American and arithmetic Asian options, enabling faster pricing. Practical and relevant, but largely incrementalcommon architecture, QuantLib labels, staged training, limited novelty or guarantees, evidence.

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Matched: options

65match

Finding 62491 source

This paper pioneers a reinforcement learning framework for volatility trading via options, introducing a novel multi-agent systemOption Position Agent and Hedger Routing Agentthat uniquely coordinates volatility timing and dynamic hedging. Empirical results on BTC/ETH options outperform baselines, demonstrating significant originality, methodological innovation, and practical impact for quantitative finance and AI-driven trading.

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Matched: options

65match

Finding 22441 source

AmPOs can be priced using the same Black-Scholes formulas as perpetual American options on dividend-paying assets, enabling clear analytical valuation and calculation of Greeks like Delta, Gamma, Vega, and Theta.

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Matched: options

65match

Finding 56441 source

Using new, detailed CBOE data and a model-free stochastic dominance approach, the research exposes persistent index option overpricing, but notes limitations from lacking firm-level data and potential collusion or payment for order flow.

LexicalMeaningQualityGraph

Matched: options

65match

Finding 22431 source

Researchers unveil the amortizing perpetual option (AmPO), a fungible, exchange-tradable derivative that replaces explicit installments with predictable notional decay, making every unit identicalunlike traditional continuous-installment options.

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Matched: options

65match

Finding 38091 source

Treating predefined index option rules as an artificial asset is novel, integrating options into enhanced indexation via $LP$ under $SSD$. This application-centric framing overcomes option lifecycle issues, releases a survivorship-bias-adjusted $S&P~500$ dataset (2017--2025), and reports out-of-sample gains, making the approach practically compelling despite relying on established optimization machinery and theory.

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Matched: options

65match

Finding 33531 source

Trained on 1,051 arbitrage-free SPX surfaces from 2018--2023 with QuantLib labels, the system achieves high accuracy, with errors concentrated at long maturities and near at-the-money, where spreads dominate small prices.

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Matched: options

65match

Finding 56431 source

The study challenges frictionless option pricing models, revealing that market structure, trading frictions, and a Cournot oligopoly significantly boost market maker profits, especially after regulatory changes tightened spreads post-2017.

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Matched: options

65match

Finding 33541 source

A notable insight: market surfaces are effectively low-dimensionalPCA and VAE suggest 5--10 factorsenabling single-pass, GPU-friendly valuation. Strengths: speed, scalability, adaptability. Limits: end-of-day SPX, constrained grids, engine-dependent labels, no-arbitrage, hedging/baselines comparisons.

LexicalMeaningQualityGraph

Matched: options

65match

Finding 33521 source

Researchers unveil an end-to-end learning pricer using full volatility surfaces to value exotics: a VAE compresses 820-point SPX surfaces to 10 dimensions; an MLP outputs put and arithmetic Asian prices.

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Matched: options

65match

Finding 65511 source

Researchers introduce an innovative neural network framework for pricing and hedging European options in incomplete markets, estimating option prices and hedging strategies while outperforming traditional Black-Scholes methods under stochastic volatility.

LexicalMeaningQualityGraph

Matched: options

65match

Finding 22451 source

The amortization rate acts as an 'effective maturity,' with higher rates reducing both premium and volatility sensitivity, but the studys scope is limited to constant rates and assumes complete markets, leaving real-world questions.

LexicalMeaningQualityGraph

Matched: options

64match

Finding 23221 source

The study introduces a novel jump-diffusion model with stochastic liquidity risk and convenience yield, revolutionizing crude oil options pricing in volatile European markets by integrating dynamic liquidity fluctuations with precision.

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Matched: options

64match

Finding 30811 source

Researchers unveil a deep learning framework that embeds terminal payoff conditions into neural networks, dramatically boosting pricing accuracy and hedging for European options, even with non-smooth or discontinuous payoffs in incomplete markets.

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Matched: options

64match

Finding 65761 source

Authors propose a modified LSMC algorithm for pricing options with independent or asset-dependent caps, proving convergence as discretization shrinks and simulation count increases, with $$\text{geometric Lvy process}$$ yielding higher prices.

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Matched: options

64match

Finding 56451 source

This paper uniquely examines index option market structure and trading frictions, using extensive SPX and SPXW data (2011-2022) to challenge frictionless derivative models. Its empirical depth and focus on oligopolistic market makers profits reveal overlooked realities, offering novel insights valuable for both academic research and practitioners in option pricing and market microstructure.

LexicalMeaningQualityGraph

Matched: options

64match

Finding 84271 source

This paper innovatively examines volatility arbitrage in the oil options market through an extension of the Bachelier model using the Quadratic Normal Model. With dynamic calibration capturing skewness and kurtosis over 25 years and application to assets, its original, comprehensive approach delivers significant theoretical and practical contributions to derivative modeling.

LexicalMeaningQualityGraph

Matched: options